Stocks were lower last week, but the small cap sector seemed to hold up a little better than large caps. The Russell 2000 (RUT) was down 0.45% while the Russell 1000 (RUI) was under a bit more pressure dropping 0.88%. RUT had lost the 2015 performance lead to the large cap focused RUI a few weeks ago, but took the lead back in late May. This performance margin widened last week and RUT is now up 3.47% for the year with the RUI up 2.82%. It is a lead, but definitely a slim margin which can change[...]

Small cap stocks took the lead from large cap stocks for 2015 last week as the Russell 2000 (RUT) was up 0.66% while the Russell 1000 (RUI) rose only 0.20%. That places RUT slightly in the lead up 3.94% for 2015 versus RUI up 3.73% for the year.
I came across an article from Friday that was discussing how low volatility is for the Russell 2000. I always like to think of volatility in relative terms and for the CBOE Russell 2000 Volatility Index (RVX) this means comparing it to VIX. Using[...]

Volatility as an asset class
Cablevision (CVC) is recently up 5c to $20.33 after reporting Q1 EPS 20c, compared to consensus 17c. May call option implied volatility is at 40, June is at 29, September is at 32; compared to its 26-week average of 27.
MGM Resorts (MGM) is recently down 40c to $21 after reporting better than expected Q1 EPS 33c, compared to consensus 14c. May call option implied volatility is at 39, June is at 36, September is at 34; compared to its 26-week average of 36.
CBOE[...]

Volatility as an asset class
MasterCard (MA) is recently up 62c to $90.86 on better than expected Q2 profit but warns of currency headwinds. May weekly call option implied volatility is at 29, May is at 22, June is at 19, October is at 20; compared to its 26-week average of 23.
Starwood (HOT) is recently up $6.15 to $86.99 after announcing its exploring strategic and financial alternatives. May call option implied volatility is at 27, June is at 24, August is at 25; compared to its 26-week[...]

Volatility as an asset class
Merck (MRK) is recently up $2.90 to $60 on better than expected Q1 results and outlook. May call option implied volatility is at 18, June, July and October is at 17; compared to its 26-week average of 19.
Bristol-Myers (BMY) is recently down to $64.35 on better than expected Q1 results and outlook. May call option implied volatility is at 23, June is 23, September is at 21; compared to its 26-week average of 22.
UPS (UPS) is recently up $3.44 to $100.86 on better than[...]

Volatility as an asset class
PepsiCo (PEP) is recently down 94c to $96.34 on solid Q1 results and sees FY15 organic revenue growth in mid-single digits. May weekly call option implied volatility is at 15, June is at 13, July is at 12; compared to its 26-week average of 18.
Caterpillar (CAT) is recently down 45c to $84.40 after raising its profit outlook for the year after reporting better than expected Q1 results. May weekly call option implied volatility is at 21, May is at 18, June is at 18, August[...]

Last week the Russell 2000 moved lower in line with the large cap focused S&P 500, as the RUT was down 1.02% compared to a 0.99% drop in the S&P 500. One method analysts use to gauge small cap risk relative to large cap risk is by comparing the relative levels of VIX and RVX (CBOE Russell 2000 Volatility Index). The chart below shows the daily close for RVX divided by VIX from the beginning of 2014 through Friday along with the average ratio of 1.34 highlighted on the chart.
As[...]

Volatility as an asset class
Philip Morris (PM)) is recently up $5.91 to $84.05 on better than expected Q1 results and outlook. April call option implied volatility is at 23, May is at 84, June is at 13, September is at 14; compared to its 26-week average of 17.
Blackstone (BX) is recently up 81c to $41.84 on the asset manager reporting Q1 profit more than doubling. May and June call option implied volatility is at 18; compared to its 26-week average of 24.
BlackRock (BLK) is recently down $6.95[...]

Volatility as an asset class
Bank of America (BAC) is recently down 19c to $15.64 after reporting Q1 EPS with items 27c, compared to consensus 29c. April call option implied volatility is at 26, May and June is at 19; compared to its 26-week average of 24.
PNC Financial (PNC) is recently down 96c to $92.66 after reporting Q1 revenue fell 1.2%. April call option implied volatility is at 21, May is at 18, August is at 16; compared to its 26-week average of 19.
U.S. Bancorp (USB) is recently up[...]

Volatility as an asset class
JP Morgan (JPM) is recently up 43c to $62.13 into the expected release of Q1 results on April 14. April call option implied volatility is at 29, May is at 18, June and September is at 17; compared to its 26-week average of 20.
Wells Fargo (WFC) is recently up 28c to $54.60 in the expected release of Q1 results on April 14. April call option implied volatility is at 27, May is at 17, June is at 15; compared to its 26-week average of 17.
IShares Barclay 20+ YR Treasury[...]

Small cap stocks widened the lead against large cap stocks for 2015 as the Russell 2000 was up 2.78% while the Russell 1000 advanced by 1.95% last week. That places the Russell 2000 up 5.12% while the Russell 1000 is now up 2.96% for 2015. The volatility markets diverged a bit from the small cap outperforming large cap stocks as the large cap focused VIX lost 18.63% while the CBOE Russell 2000 Volatility Index (RVX) was down 16.48% for the week. Despite this the RVX / VIX spread remains a low levels[...]

With the sell off on Friday, the Russell 2000 was down 1.29% while the Russell 1000 lost 1.51% last week. Small cap stocks underperformed large caps in 2014 and many have expected this to carry over into 2015. However, so far the Russell 2000 has held its own and is up 1.06% for the year which is basically in line with the performance of the Russell 1000.
In the volatility space the CBOE Russell 2000 Volatility Index was higher gaining just over 7%. RVX is often considered a measure of small cap[...]

Big News at CBOE this morning, with CBOE announcing licensing agreement with London Stock Exchange Group (LSEG), to develop and list options based on more than two dozen FTSE and Russell indices and new products as well. Scroll down to previous blog to get the details, we're excited about this.
Weekly Claims rose 31K, the most in 14 months. US stock futures have turned lower, Oil off almost 3%, near $49.50bbl. Volatility as an asset class
Salesforce.com (CRM) is up $7.73 to $70.60[...]

Over the next few weeks there is going to be a lot going on at CBOE. The Options Institute will be turning 30 soon, VIX and SPX option hours are going to be expanded to a 2:00 am Chicago opening, and the always informative US version of the CBOE Risk Management Conference will be held in early March. However, what is on the horizon that has me the most excited is the launch of index option trading on two of the widely followed MSCI family of indexes.
As a side note - my interest in new[...]

Settlement Reminder:
Today, Tuesday, February 17th is the last trading day for February in the following: VIX, RVX, VXN, GVZ, OVX, VXEEM, VXEWZ, and VXTYN futures and options.
These contracts settle tomorrow, Wednesday morning, February 21st.
We will post the settlement values when they are released tomorrow morning.

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